d43fb5e61f
Bought XSP (mini-SPX) options ohlcv-1d 2013-2026 = $66.86 (hard-capped $70, get_cost-gated, year-chunked vs 504, 2025 backfilled) + SPY $0.01. CORRECTION: index VRP is NOT $900 (that was SPY root); clean instrument XSP $66.86/13y or SPX $143/13y. THREE measurement attempts all gave spurious NEGATIVE VRP (RV 28-33% vs implied ~16%) = MEASUREMENT ERROR not finding (contradicts decades of SPX VRP evidence). Bugs: noisy parity underlying; ~469/2800 days survive -> multi-day gaps inflate RV; SPY!=XSP divergence corrupts ATM. Root: XSP EOD ohlcv too sparse to reconstruct clean underlying+ATM-IV. Implied (16.7%) reads right. Frontier real+affordable+in-hand but proper extraction is a real options-quant build (denser SPX +$76 or IV-surface w/ quotes), not a gate. Did NOT record -2.7 as a result (artifact). Crypto momentum+VRP remains only deploy-grade edge. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
50 lines
2.0 KiB
Python
50 lines
2.0 KiB
Python
#!/usr/bin/env python3
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"""Fetch XSP (mini-SPX) options daily OHLCV for the equity-index VRP test. HARD-CAPPED.
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get_cost-gated: prints the exact cost and ABORTS if above CAP — no surprise charges.
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Single dataset/schema/symbol/window. ohlcv-1d only (NOT definition).
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"""
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import os
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import sys
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import databento as db
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CAP = 70.00 # hard cap — abort if cost exceeds this
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DS, SCH, SYM = "OPRA.PILLAR", "ohlcv-1d", "XSP.OPT"
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START, END = "2013-04-01", "2026-06-05"
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OUT = "data/surfer/xsp_ohlcv1d.dbn"
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def main():
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c = db.Historical(os.environ["DATABENTO_API_KEY"])
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if os.path.exists(OUT):
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print(f"already downloaded: {OUT}"); return 0
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cost = c.metadata.get_cost(dataset=DS, symbols=[SYM], schema=SCH, start=START, end=END, stype_in="parent")
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gb = c.metadata.get_billable_size(dataset=DS, symbols=[SYM], schema=SCH, start=START, end=END, stype_in="parent") / 1e9
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print(f"EXACT get_cost = ${cost:.2f} ({gb:.2f} GB) CAP = ${CAP:.2f}")
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if cost > CAP:
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print(f"ABORT: ${cost:.2f} exceeds cap ${CAP:.2f} — NOTHING downloaded.")
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return 1
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print(f"under cap by ${CAP - cost:.2f} -> downloading {SYM} {SCH} year-chunked (same total cost)")
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os.makedirs("data/surfer/xsp", exist_ok=True)
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for yr in range(2013, 2027):
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ys = f"{yr}-01-01" if yr > 2013 else "2013-04-01"
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ye = f"{yr+1}-01-01" if yr < 2026 else "2026-06-05"
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out = f"data/surfer/xsp/xsp_{yr}.dbn"
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if os.path.exists(out):
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print(f" {yr}: exists"); continue
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for attempt in range(3):
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try:
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d = c.timeseries.get_range(dataset=DS, symbols=[SYM], schema=SCH, start=ys, end=ye, stype_in="parent")
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d.to_file(out)
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print(f" {yr}: saved ({os.path.getsize(out)/1e6:.1f} MB)")
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break
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except Exception as e:
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print(f" {yr}: attempt {attempt+1} {type(e).__name__}; retry")
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print(f"DONE -> data/surfer/xsp/")
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return 0
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if __name__ == "__main__":
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sys.exit(main())
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